scholarly journals Expectation puzzles, time-varying risk premia, and affine models of the term structure

2002 ◽  
Vol 63 (3) ◽  
pp. 415-441 ◽  
Author(s):  
Qiang Dai ◽  
Kenneth J. Singleton
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Time Varying ◽  
Affine Models

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Econometrica ◽  
1987 ◽  
Vol 55 (2) ◽  
pp. 391 ◽  
Author(s):  
Robert F. Engle ◽  
David M. Lilien ◽  
Russell P. Robins
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Time Varying

Time-Varying Term Structure of Oil Risk Premia

2022 ◽  
Vol 43 (01) ◽  
Author(s):  
Gonzalo Cortazar ◽  
Philip Liedtke ◽  
Hector Ortega ◽  
Eduardo S. Schwartz
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Time Varying
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